Impact of bitcoin futures on the informational efficiency of bitcoin spot market

Shynkevich, Andrei

doi:10.1002/fut.22164

Cited by 26 publications

(7 citation statements)

References 56 publications

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“…The third body of research highlights the use of Bitcoin derivatives in predictive analysis. Shynkevich (2020) concludes that the introduction of Bitcoin futures disrupts the predictive power of technical trading rules. Hoang and Baur (2020) calculate implied volatility from a number of Bitcoin options traded on the options exchange Deribit and show that this predictor is superior in predicting 7- to 15-day than 1-day ahead realized volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies

Huang

Gao

2023

Sage Open

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After Bitcoin futures were introduced by the Chicago Mercantile Exchange in December 2017, their trading volume has stayed in an uptrend due to speculation, though the scale is still small compared to other traditional futures. As increasing trading indicates more attention and the presence of institutional traders, there exists a need for reliable return and variance forecasts of Bitcoin futures contracts. Therefore, this paper first applies LASSO to pick out best-fitting predictors by shrinking the dimension of a universe of potential determinants sourced from intraday Bitcoin spot trades and daily futures variables. Then, a second round of predictor selection is conducted via Bayesian model averaging so that the modeling uncertainty can be mitigated. We find that factors standing out from this two-step procedure possess a strong predictive power for Bitcoin futures return and volatility in different time horizons. It is further demonstrated that the investment and hedging strategies established based on our forecasts perform well in out-of-sample validations.

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Section: Literature Reviewmentioning

confidence: 99%

Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies

Huang

Gao

2023

Sage Open

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“…At the same time, it also has five major trading characteristics: contract standardization, centralized trading, two-way trading, and hedging. Among them, the standardization of futures contracts provides great convenience for futures trading, as both parties no longer need to negotiate specific terms of the transaction, thereby saving trading time and reducing trading disputes [14][15]. Trading centralization refers to the fact that futures trading must be carried out within a futures exchange, which means that the futures market is a highly organized market with strict management systems implemented, and futures trading is ultimately concentrated within the futures exchange.…”

Section: (4) Improve Market Transparencymentioning

confidence: 99%

Futures Trading Price Prediction Based on Big Data

2023

AJBM

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The futures market offers a secure, precise and quick exchange platform for traders, offering efficient transactions and no triangle bonds, which is beneficial for establishing and improving the market economy. However, for trading prices, it is generally difficult to predict. Therefore, this article uses big data analysis methods to predict futures trading prices. The research results show that after using big data for prediction analysis, the highest accuracy rate reaches 99.5%, and the highest recall rate also reaches 84.2%, which is much improved compared to traditional prediction methods. Therefore, the final conclusion can be drawn that big data can effectively predict futures trading prices.

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“…In the price discovery process, it has been seen that futures prices dominate, implying a leading informative role. Shynkevich (2019) suggests that the introduction of bitcoin futures has increased the informational efficiency of the bitcoin spot market. Kapar and Olmo (2019) analyzed the Bitcoin price discovery process.…”

Section: Literature Reviewmentioning

confidence: 99%

Causality Relationship between Spot and Futures Bitcoin Prices in CME

Özdemir

2021

J. corp. gov. insur. risk manag.

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To protect against risks arising from fluctuations in spot prices and better manage risk, investors might evaluate futures markets. The role of price discovery in the futures markets and the possibility of reducing certain risks increase the importance of researching the relationship between spot and futures prices. This study aims to determine whether there is a relationship between the Bitcoin spot prices and the Bitcoin futures prices. To this end, the relationship between the two markets is analyzed using Johansen Cointegration analysis and Vector Error Correction Model (VECM) using the daily data of the period 02.23.2017 – 08.31.2021. Unit root tests show that each series are not stationary at the level values and that the first differences of the series are stationary. The results of the cointegration analysis show that there is a long-term equilibrium relationship between the bitcoin spot market and the bitcoin futures market, and it is a single cointegration vector. The Granger causality test based on the vector error correction model was used to determine the causality relationship between the series. It has been determined that there is a unidirectional causality relationship from the Bitcoin spot market to the Bitcoin futures market. Bitcoin is a new financial tool that attracts the attention of investors. Investors make transactions on Bitcoin for speculative purposes. Therefore, unlike other investment instruments, spot prices in the bitcoin market affect futures prices.

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Impact of bitcoin futures on the informational efficiency of bitcoin spot market

Cited by 26 publications

References 56 publications

Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies

Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies

Futures Trading Price Prediction Based on Big Data

Causality Relationship between Spot and Futures Bitcoin Prices in CME

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